Don't expect an artfully constructed hour with a narrative arc and a coherent finale like the last show, Stewart Lee warns his audience at the opening of his Leicester Square theatre run. Like most of Lee's commentary on his own act, this is somewhat disingenuous – Much A-Stew About Nothing is structured with as much care and hidden precision as all his work – but the format is indeed different. The show is billed as a work in progress, originating at this year's Edinburgh fringe and being shaped, over the course of a brief tour and now this residency, into the material that will form his next BBC2 series.

He provides us with three sample shows, each kept to a tight half-hour, though as he points out for the benefit of the critics in the audience, it's tricky to rehearse topical material for a television show that will be broadcast next April, so he'll probably take out the best bits of these live gigs, meaning that the shows are getting exponentially worse as the run progresses. Sadly, this may mean TV viewers lose his splendid, almost throwaway observation that Russell Brand's recent interview with Paxman "was hardly Frost/Nixon – more like watching a monkey throwing its excrement at a foghorn".

The themes and the comedic techniques he dissects here will be comfortably familiar to his fans. In the first half, he tackles party politics, analysing a list of celebrities who support the Tories, which leads him neatly into a deliberately reductive definition of satire, which in turn segues into a section on wildlife programmes of the past, wilfully extended to the point of absurdity. Lee doesn't invite audience participation in the traditional sense, but he plays with the appearance of it, giving him an opportunity to turn the spotlight around and critique us for our lack of imaginative input, reminding us of the peculiar two-way relationship between performer and audience in live comedy.

Though he probably would not like the term, Lee is the most Brechtian of comedians, exposing the mechanics of his art at every turn. He swoops from high erudition to the basest stag-party jokes in the course of one story, but the crass material always serves a larger purpose. He revels in pushing a thoughtless or ignorant statement to its most extreme logical conclusion – in one case, Ukip's Paul Nuttall's assertion that the brightest Bulgarians should stay in their own country and improve its economic prosperity rather than coming to Britain. Lee uses this as a device for a tour of British immigration history, taking in the Huguenots, Saxons, Neolithic man and the earliest invertebrates, punctuating his history lesson with an increasingly whiny repetition of Nuttall's idea.

The final act sees a return to the misanthropic, self-pitying persona he perfected in his last show, Carpet Remnant World. Here his observations hang on a series of fictitious conversations with cab drivers, always returning to the portrait of himself as "an impotent, vasectomised, 45-year-old functioning alcoholic father of two", whose existence is so unremittingly bleak that he welcomes a visit to A&E because it gives him a chance to lie down uninterrupted.

The self-pity act requires a fine balance because it can teeter on the edge of depressing. The comedy comes from the air of baffled anger and resignation in the delivery, and the fact that even his oldest fans can never be quite sure how much of it is put on. Fortunately, Lee is a master of the form, never afraid to subvert it or test his audience's patience, and he is also supremely funny, even at his darkest. Catch this show while it's still evolving, just in case he's right about taking out the best bits.